1 Answer
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You need to set this up yourself. Go to [ System -> Preferences -> Keyboard ].

Under [ Layouts ], make sure that Danish/Denmark Macintosh is the selected one, and select Apple Macbook under [ Keyboard Model ]. Then click [ Options... ]. The list presented to you should contain an entry regarding what button(s) to use as 3rd level modifier keys.

Generally, many applications will expect the alt key to function as an alt key, so I would recommend not using that as a modifier in Ubuntu.